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Symphonies
Market Indicator: SPY v TLT
Today’s Change
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A symphony is an automated trading strategy — Learn more about symphonies here

About

Daily switch between US stocks (SPY) and long Treasuries (TLT): compare 5‑day RSI “heat” and own the cooler one. TLT when stocks are hot; SPY when bonds are hot. Contrarian and may trade frequently.
NutHow it works
Each day it looks at two funds: SPY (US large‑cap stocks) and TLT (long‑term U.S. Treasury bonds). It gives each a 5‑day RSI score—a short‑term “hot vs. cold” reading from 0–100 based on recent up vs. down days. Higher = hotter. It then buys 100% of the cooler one (lower RSI): if stocks look hot, it holds TLT; if bonds look hot, it holds SPY. SPY spans major U.S. sectors; TLT is long‑term Treasuries.
CheckmarkValue prop
Out-of-sample, the daily SPY/TLT switch delivers solid risk-adjusted returns with less risk than the S&P: ~11.5% annual return, ~16.9% max drawdown, beta ~0.69, Calmar ~0.68—providing stronger downside protection in volatility.
1M
3M
6M
YTD
1Y
3Y
Max
www.composer.trade
Performance
Compared to selected benchmarks
AlphaBetaR2R
SPY
0.090.560.340.58
Performance Metrics
Cumulative ReturnAnnualized ReturnTrailing 1M ReturnTrailing 3M ReturnSharpe Ratio
SPY
1,110.14%11.17%0.54%-0.34%0.66
Market Indicator: SPY v TLT
2,967.47%15.65%0.68%0.85%0.89
Initial Investment
$10,000.00
Final Value
$306,746.68
Regulatory Fees
$2,718.69
Total Slippage
$18,650.49
Invest in this strategy
OOS Start Date
Nov 25, 2024
Trading Setting
Daily
Type
Stocks
Category
Tactical asset allocation, mean reversion, rsi(5), spy, tlt, daily rebalancing, stocks vs bonds, contrarian
Tickers in this symphonyThis symphony trades 2 assets in total
Ticker
Type
SPY
State Street SPDR S&P 500 ETF Trust
Stocks
TLT
iShares 20+ Year Treasury Bond ETF
Stocks

FAQ

A Composer symphony is an automated trading strategy that executes trades based on parameters of your choice. Some symphonies are similar to holding one ETF in normal conditions and rotating to a different ETF when market conditions shift, for example a 5% drop in the S&P 500, while others use complex rules with dozens of triggers. However, complex doesn’t always mean better. A simple, well-structured symphony can be just as effective as an intricate one. Learn more about how symphonies work here.

"Market Indicator: SPY v TLT" is currently performing the same as yesterday today. Performance updates in real time during market hours.

"Market Indicator: SPY v TLT" is currently allocated toTLT. Holdings automatically adjust as market conditions change based on the strategy's rules.

Year-to-date, "Market Indicator: SPY v TLT" has returned 9.05%. You can adjust the performance chart above to view returns across different time horizons.

The maximum drawdown for "Market Indicator: SPY v TLT" is 16.89%. The maximum drawdown measures the largest peak-to-trough decline. It's an important metric to evaluate risk and the strategy's behavior during market stress.

To invest in "Market Indicator: SPY v TLT", simply click the Invest button on this page. You'll need to open an account with Composer if you don't have one yet, then you can start investing. Composer will automatically execute the trades for you based on the strategy's rules. Composer also supports trading individual stocks, ETFs, and options.